Factors Influencing Bank Risk in Europe: Evidence from the Financial Crisis

North American Journal of Economics and Finance, 34 (2015), 138-166.

Posted: 1 Aug 2013 Last revised: 16 Sep 2015

See all articles by Laura Baselga-Pascual

Laura Baselga-Pascual

University of Deusto - Deusto Business School

Antonio Trujillo‐Ponce

Universidad Pablo de Olavide - Department of Financial Economics & Accounting

Clara Cardone-Riportella

Department of Financial Economics & Accounting, Pablo de Olavide University (Seville, Spain)

Date Written: September 9, 2015

Abstract

We use a dynamic panel data model to analyze bank-specific and macroeconomic determinants of bank risk for a large sample of commercial banks operating in the euro area. The selected time span, from 2001 to 2012, considers the impact of the on-going financial and economic crisis on the Eurozone banking system. Our results indicate that capitalization, profitability, efficiency and liquidity are inversely and significantly related to bank risk. However, the recourse to wholesale funding by banks seems to increase their risk. We also find that less-concentrated markets, lower interest rates, higher inflation rates and a context of economic crisis (with a falling GDP) increase bank risk.

Keywords: Bank risk; European banking system; Eurozone; Non-performing loans; Z-score

JEL Classification: G21, G32, L11

Suggested Citation

Baselga-Pascual, Laura and Trujillo-Ponce, Antonio and Cardone-Riportella, Clara, Factors Influencing Bank Risk in Europe: Evidence from the Financial Crisis (September 9, 2015). North American Journal of Economics and Finance, 34 (2015), 138-166., Available at SSRN: https://ssrn.com/abstract=2304160 or http://dx.doi.org/10.2139/ssrn.2304160

Laura Baselga-Pascual

University of Deusto - Deusto Business School ( email )

Camino de Mundaiz, 50
San Sebastian, 20012
Spain

Antonio Trujillo-Ponce (Contact Author)

Universidad Pablo de Olavide - Department of Financial Economics & Accounting ( email )

Ctra. Utrera, Km.1
Sevilla, 41013
Spain

HOME PAGE: http://https://www.upo.es/investiga/banef/

Clara Cardone-Riportella

Department of Financial Economics & Accounting, Pablo de Olavide University (Seville, Spain) ( email )

Ctra. de Utrera, km 1
Seville, Seville 41013
Spain
00 34 954 349056 (Phone)

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